Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 25 (1D) Nov 26 (2D) Nov 27 (3D) Nov 28 (4D) Dec 01 (7D) Dec 02 (8D) Dec 03 (9D) Dec 04 (10D) Dec 05 (11D) Dec 08 (14D) Dec 12 (18D) Dec 19 (25D) Dec 26 (32D)
lower 661.547 658.572 656.289 654.365 649.727 648.415 647.182 646.017 644.908 641.855 638.257 632.817 628.099
upper 675.913 678.888 681.171 683.095 687.733 689.045 690.278 691.443 692.552 695.605 699.203 704.643 709.361
expected move 7.183 10.158 12.441 14.365 19.003 20.315 21.548 22.713 23.822 26.875 30.473 35.913 40.631
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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